
Charles E. and Susan T. Harris Professor, MIT Sloan School of Management; Director, MIT Laboratory for Financial Engineering; founder of AlphaSimplex Group
The Econometrics of Financial Markets and the variance-ratio work with MacKinlay are primary sources the field builds on, and the Adaptive Markets Hypothesis is a named framework in its own right.
MIT Sloan School of Management, MIT Laboratory for Financial Engineering, AlphaSimplex Group
Chosen by shared topics, the entries that hold them, and the people who recommended both.
Princeton University Press; revised edition 2010.
Forecasting prices from past prices, from Babylonian records to quantitative trading.
Princeton University Press. Listed on Lo's MIT books page.
Topics